{
  "annotation_id": "386caab0-5b94-4b27-b9d8-daa8d19420a6",
  "date_created": "2026-03-02T18:01:00.410000Z",
  "date_modified": "2026-03-02T18:01:00.410000Z",
  "file_hash": "a8e3ffea38343b432583080745f3617a7556b8f46bfedd5caca5eb25701bf6a2",
  "private": false,
  "record": {
    "abstract": "A non-trivial probability structure is evident in the binary data extracted\nfrom the up/down price movements of very high frequency data such as\ntick-by-tick data for USD/JPY. In this paper, we analyze the Sony bank USD/JPY\nrates, ignoring the small deviations from the market price. We then show there\nis a similar non-trivial probability structure in the Sony bank rate, in spite\nof the Sony bank rate\u0027s having less frequent and larger deviations than\ntick-by-tick data. However, this probability structure is not found in the data\nwhich has been sampled from tick-by-tick data at the same rate as the Sony bank\nrate. Therefore, the method of generating the Sony bank rate from the market\nrate has the potential for practical use since the method retains the\nprobability structure as the sampling frequency decreases.",
    "arxiv_id": "physics/0509256",
    "authors": [
      "Naoya Sazuka"
    ],
    "categories": [
      "physics.soc-ph",
      "q-fin.ST"
    ],
    "doi": "10.1140/epjb/e2006-00139-4",
    "title": "Analysis of Binarized High Frequency Financial Data",
    "url": "https://arxiv.org/abs/physics/0509256"
  },
  "schema_id": "dorsal/arxiv",
  "source": {
    "execution_id": "22267ccc-a464-4c24-a495-80327650fb6e",
    "id": "arXiv Dataset IDs",
    "type": "Model",
    "variant": "snapshot-2026-03-01",
    "version": "0.1.0"
  },
  "user_id": 1000002
}